Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0052 |
| Annualized Std Dev | 0.2533 |
| Annualized Sharpe (Rf=0%) | -0.0205 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3233.0000 |
| NAs | 1.0000 |
| Minimum | -0.1463 |
| Quartile 1 | -0.0056 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0063 |
| Maximum | 0.1266 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0004 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0003 |
| Stdev | 0.0160 |
| Skewness | -0.5207 |
| Kurtosis | 11.9595 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0117 |
| Gain Deviation | 0.0117 |
| Loss Deviation | 0.0137 |
| Downside Deviation (MAR=210%) | 0.0161 |
| Downside Deviation (Rf=0%) | 0.0117 |
| Downside Deviation (0%) | 0.0117 |
| Maximum Drawdown | 0.6964 |
| Historical VaR (95%) | -0.0220 |
| Historical ES (95%) | -0.0407 |
| Modified VaR (95%) | -0.0246 |
| Modified ES (95%) | -0.0476 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-05-19 | 2009-03-09 | 2015-01-26 | -0.6964 | 1682 | 201 | 1481 |
| 2020-02-18 | 2020-03-23 | NA | -0.4378 | 276 | 25 | NA |
| 2016-08-01 | 2018-12-24 | 2019-10-15 | -0.1822 | 808 | 605 | 203 |
| 2015-01-27 | 2016-02-11 | 2016-07-22 | -0.1803 | 376 | 264 | 112 |
| 2019-10-24 | 2019-12-23 | 2020-02-14 | -0.0524 | 78 | 42 | 36 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2008 | NA | NA | NA | NA | 0.5 | -1.5 | -0.3 | 0.3 | 0.8 | 7 | -11.1 | 3.1 | -2.1 |
| 2009 | -4.8 | -0.9 | -0.9 | -1.9 | 3.9 | 0.5 | 1.3 | -4 | -3.7 | -1.8 | 2.4 | -0.2 | -9.9 |
| 2010 | 1.7 | 1.1 | 1 | -2.2 | -1.6 | 0.4 | 0.3 | 3.6 | 1.2 | 0.4 | 1.8 | 0.2 | 8.1 |
| 2011 | 1 | -2 | 0.3 | 0 | -2.2 | 1.4 | -0.9 | -1 | -2.2 | -3.3 | -1.3 | 0 | -9.8 |
| 2012 | 1.2 | 0.8 | 1 | 1 | -2.3 | 2.7 | 0 | 0.6 | -0.2 | 0.8 | 0.4 | 1.2 | 7.3 |
| 2013 | 0.6 | 0.6 | -0.6 | -0.5 | -1.5 | -0.4 | 0.4 | -0.6 | 1 | 0.2 | -0.5 | 0.2 | -1 |
| 2014 | -0.3 | 0.5 | 0.4 | 0.5 | 0.5 | 0.4 | -0.3 | 0.2 | -0.5 | 1.6 | 0.1 | -1.2 | 2 |
| 2015 | -1.9 | 0.2 | 0.2 | 0.5 | 0.8 | 1 | 0.6 | -2.3 | 0.4 | -0.7 | 1.5 | -0.9 | -0.6 |
| 2016 | 0.4 | 3.1 | -0.4 | -0.7 | 0 | 0 | -0.1 | 0.2 | 0 | -1.6 | -1.5 | 1.2 | 0.6 |
| 2017 | -0.8 | -0.2 | 0.5 | 0.6 | 0.6 | -0.3 | 0.5 | 0.2 | 0.4 | 0.2 | 0.1 | 0 | 1.9 |
| 2018 | -1.7 | 0 | 0.2 | 0.6 | 0.2 | 0.4 | 0.2 | 0.1 | -0.5 | 0.6 | 0.3 | 0.2 | 0.7 |
| 2019 | -0.4 | -0.2 | 0.3 | 0.3 | 0.3 | 0.1 | -0.8 | 0.3 | -0.7 | 0.2 | -0.4 | 0.5 | -0.5 |
| 2020 | -1.1 | -2.4 | -5.3 | -3.4 | 2.1 | 1.8 | -0.4 | -0.1 | 1.9 | -0.2 | 1.6 | 0.5 | -5.2 |
| 2021 | 1.2 | 0.7 | -1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.9 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2008-05-13 50.4 SPY 140. 0.0001 -0.0111 0.0568 0.0407 -0.0668 0.198 0.481 GLD 85.4 -0.0184 -0.0143
2 2008-05-14 50.9 SPY 141. 0.0021 0.009 0.0565 0.0323 -0.0651 0.214 0.486 GLD 85.2 -0.0022 -0.0072
3 2008-05-15 51.4 SPY 143. 0.0125 0.0242 0.0415 0.0544 -0.0598 0.232 0.508 GLD 87 0.0211 -0.0028
4 2008-05-16 51.4 SPY 143. 0.0009 0.0271 0.0409 0.0556 -0.0571 0.221 0.500 GLD 89.1 0.0241 0.0192
5 2008-05-19 51.2 SPY 143. 0.0027 0.0184 0.033 0.0556 -0.0627 0.217 0.508 GLD 89.4 0.0033 0.0276
6 2008-05-20 50.8 SPY 142. -0.0081 0.01 0.0241 0.0439 -0.0698 0.194 0.532 GLD 90.9 0.0169 0.0645
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
